arXiv, 2021 Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the rough Bergomi model. We solve this ODE numerically and further present a very accurate approximation to
arxiv
Arbitrage-free prediction of the implied volatility smile [PDF]
, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
core +2 more sources
Swaption pricing with SABR model [PDF]
, 2020 The purpose of this Master’s thesis is to present the SABR and shifted SABR models and perform a calibration procedure on the Euribor and Libor swaptions’ volatility cube.
Danielyan, Karen
core
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion [PDF]
, 2016 We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel expansion combined with Laplace's method to integrate over the volatility
Armstrong, John +3 more
core +2 more sources
Sabr Type Stochastic Volatility Operator in Hilbert Space
Social Science Research Network, 2020 In this paper, we define stochastic volatility operators in Hilbert space which are analogs to the widely-used SABR model [14] in finite dimensional case. We show the existence of the mild solution and some related regularity properties.
R. Douady, Zeyu Cao
semanticscholar +1 more source
On the probability of hitting the boundary for Brownian motions on the SABR plane [PDF]
, 2016 Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models–related to the SABR model in mathematical finance–which can be obtained by geometry-preserving transformations, and show how to ...
Gulisashvili, AG +2 more
core +4 more sources
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives [PDF]
, 2015 ©2015 This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections.
Ferreiro Ferreiro, Ana María +3 more
core +1 more source
Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ [PDF]
, 2016 We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the multivariate ...
Forde, Martin, Zhang, Hongzhong
core +2 more sources
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options [PDF]
, 2017 In this work, we propose a one time-step Monte Carlo method for the SABR model. We base our approach on an accurate approximation of the cumulative distribution function of the time-integrated variance (conditional on the SABR volatility), using Fourier ...
Grzelak, L.A. (Lech Aleksander) +2 more
core +2 more sources
Pricing Average Options on Commodities [PDF]
This paper proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended -SABR stochastic volatility models ...
Akihiko Takahashi, Kenichiro Shiraya
core +3 more sources